Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management
AbstractWe study a variety of optimal investment problems for objectives related to aataining goals by a fixed terminal time.
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Bibliographic InfoPaper provided by Columbia - Graduate School of Business in its series Papers with number 96-16.
Length: 34 pages
Date of creation: 1996
Date of revision:
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Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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FINANCIAL MARKET; PRICING; PORTFOLIO; INVESTMENTS;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Jakša Cvitanić, 1999. "Methods of Partial Hedging," Asia-Pacific Financial Markets, Springer, Springer, vol. 6(1), pages 7-35, January.
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